The Study Of Investment Portfolio Insurance Strategies Based On The Incomplete Prediction

The main aim of investment portfolio insurance strategies is to protect the inestors from the risk of the downward of the assets value and to posses the potentialities of rise of the assets value. The dissertation empirically analyses the investment portfolio insurance strategies in China security markets, put forward a concept of dynamic adjusted investment portfolio insurance strategies and use the prediction theory of the stock to improve the effect of portfolio insurance strategies. The main contents and conclusions are as follows:In the empricial test of portfolio insurance strategies, the dissertation uses the data of shanghai stock market and Monte Carlo simulation method to draw conclusions as follows: Firstly, in the bull market, the portfolio insurance strategies all can seize the opportunity of upward and gain the profit; in the bear market, the portfolio insurance strategies all can make full use of the insurance and keep the loses into the certainly range. The performance of simplied parameter portfolio insurance strategies superior to the Option-based portfolio insurance strategies in the bear and vibrate market. Secondly, in the bull market, the performance of the portfolio insurance strategies all show the downward tendency with the insuranced assets value increasing; in the bear market, the performance of the portfolio insurance strategies all show the upward tendency with the insuranced assets value decreasing; but the performance of the portfolio insurance strategies is different in the vibrate market. Thirdly, none of the adjustment discipline show superior to other adjustment disciplines. As the lag discipline can lead to the strategies function out of order in the simplied parameter portfolio insurance strategies, we delete the lag discipline. Fourthly, different estimate of stock price volatility have no obvious difference and notable effect. Fifthly, the performance of the simplied parameter portfolio insurance strategies all show the upward tendency in the bull market and downward tendency in the bear market with the multiplier increasing. Sixthly, the empirical results of Monte Carlo simulation method further confirm the conclusions...